Smoking persistence across countries: A panel data analysis

► We study smoking persistence in ten European countries using longitudinal data.► We examine the decision to smoke or not as well as how many cigarettes are smoked.► We disentangle true state dependence from unobserved heterogeneity. ► We find that smoking persistence is strong in all countries for both genders. ► Smoking persistence is strong even after controlling for unobserved heterogeneity.